125 citations · 140 across the 7 of their papers we have counts for
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A Harmonic Analysis Solution to the Static Basket Arbitrage Problem
Alexandre d'Aspremont
We consider the problem of computing upper and lower bounds on the price of a European basket call option, given prices on other similar baskets. We focus here on an interpretation…
A Semidefinite Representation for some Minimum Cardinality Problems
Alexandre d'Aspremont
Using techniques developed in [Lasserre02], we show that some minimum cardinality problems subject to linear inequalities can be represented as finite sequences of semidefinite pro…
Risk-Management Methods for the Libor Market Model Using Semidefinite Programming
Alexandre d'Aspremont
When interest rate dynamics are described by the Libor Market Model as in BGM97, we show how some essential risk-management results can be obtained from the dual of the calibration…
Interest Rate Model Calibration Using Semidefinite Programming
Alexandre d'Aspremont
We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can t…